Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1552
Annualized Std Dev 0.2996
Annualized Sharpe (Rf=0%) 0.5181

Row

Daily Return Statistics

Close
Observations 3805.0000
NAs 1.0000
Minimum -0.1235
Quartile 1 -0.0096
Median 0.0009
Arithmetic Mean 0.0008
Geometric Mean 0.0006
Quartile 3 0.0116
Maximum 0.1326
SE Mean 0.0003
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0014
Variance 0.0004
Stdev 0.0189
Skewness -0.0658
Kurtosis 2.9473

Downside Risk

Close
Semi Deviation 0.0135
Gain Deviation 0.0126
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0179
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.4939
Historical VaR (95%) -0.0302
Historical ES (95%) -0.0425
Modified VaR (95%) -0.0295
Modified ES (95%) -0.0451
From Trough To Depth Length To Trough Recovery
2015-07-20 2016-02-11 2018-01-22 -0.4939 633 144 489
2008-08-15 2009-03-05 2011-04-14 -0.3760 672 139 533
2018-06-21 2018-12-24 2020-05-11 -0.3532 475 129 346
2014-02-28 2014-05-08 2014-10-28 -0.2922 169 49 120
2011-07-25 2011-08-08 2012-01-27 -0.2672 130 11 119

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA 1.3 0.1 -1 1.2 3.5 -2.2 0.5 0.8 -1.3 -0.5 -0.1 2
2007 0.6 -1.6 1 0.8 0.7 -1.2 -0.7 1.6 1.2 -1 -0.1 -1.3 0
2008 2.7 -1.9 3.6 2.8 -0.2 2 -1.9 -1.2 0.8 2.6 -8 1.6 2.2
2009 -0.1 -5.3 -1.8 -0.6 0.4 -1.3 -0.7 -1.5 -3.5 -2 1.7 -1.1 -14.8
2010 1.1 5.3 0.8 -0.8 -1.3 -2.3 1.3 2.6 -0.1 -0.8 1.3 -0.8 6.2
2011 0.5 -0.6 0.7 -1.3 -2.5 1.2 -1.3 -2.1 -1.6 -3.5 0.6 0.3 -9.5
2012 3 1 0.4 -0.2 -2.7 2.6 -2.9 0.3 0.3 1.8 -0.6 1.8 4.7
2013 1 1.1 -1.4 -2.5 -1.7 4.3 1.5 -1.2 2.1 0.5 0.9 0 4.5
2014 -2.3 -4.1 2.1 1.3 -1.1 1.7 -0.8 1.3 -1.3 -1.1 -2.8 0.5 -6.6
2015 -1.2 -1.5 -2.1 3.3 0.4 -1.2 1.2 -3 0.3 -1 -0.2 -0.9 -5.9
2016 0.8 4.8 2.9 -2.2 0.2 3.2 2.4 0.4 1.2 1.2 -2.4 -0.8 12.1
2017 0.1 1.8 0.1 1 2.8 -1.3 -1.4 0.9 0.8 -1.4 0.3 -1.5 2
2018 0.3 -0.9 0.8 1.1 2.1 1.1 0.1 0.2 -1.3 5.9 1.5 2.4 13.7
2019 0.5 3 -0.1 -1.8 -1.7 0.6 0.3 -0.9 -2.1 2.5 0.2 0.4 0.6
2020 -1.4 1.8 -5.4 -2.7 0.5 0.5 -2.3 -2 1.3 -2.1 -0.2 -2.3 -13.7
2021 4.4 2.4 3.3 NA NA NA NA NA NA NA NA NA 10.4

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart